Important thing to note here: the Fama and French crowd tend to call a lot of things “risk premiums” which may or may not reflect any actual taste for risk; they’re just outputs of a factor model. That doesn’t mean that they’re meaningless, but calling it a “risk premium” is often rather misleading. I wouldn’t be the least bit surprised if one of their time-dependent “risk premiums” were actually just a factor corresponding to liquidity needs.
Important thing to note here: the Fama and French crowd tend to call a lot of things “risk premiums” which may or may not reflect any actual taste for risk; they’re just outputs of a factor model. That doesn’t mean that they’re meaningless, but calling it a “risk premium” is often rather misleading. I wouldn’t be the least bit surprised if one of their time-dependent “risk premiums” were actually just a factor corresponding to liquidity needs.